One of the most important research streams in finance is to understand the determinants of stock market dynamics. Using a large amount of linguistic data regarding 960,808 posts during a 5‐year time period (from March 1, 2008, to August 31, 2013), we develop an economics blogs pessimism indicator (consid- ered as a proxy for either investor sentiment or risk aversion), and we show its validity to build performing trading strategies.

Farina, V., Parisi, A., Pomante, U. (2017). Economics blogs sentiment and asset prices. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 22(4), 341-351 [10.1002/ijfe.1591].

Economics blogs sentiment and asset prices

FARINA, VINCENZO;PARISI, ANTONIO;POMANTE, UGO
2017-01-01

Abstract

One of the most important research streams in finance is to understand the determinants of stock market dynamics. Using a large amount of linguistic data regarding 960,808 posts during a 5‐year time period (from March 1, 2008, to August 31, 2013), we develop an economics blogs pessimism indicator (consid- ered as a proxy for either investor sentiment or risk aversion), and we show its validity to build performing trading strategies.
2017
Online ahead of print
Rilevanza internazionale
Articolo
Esperti anonimi
Settore SECS-S/03 - STATISTICA ECONOMICA
Settore SECS-P/11 - ECONOMIA DEGLI INTERMEDIARI FINANZIARI
English
Con Impact Factor ISI
economics blogs; investor sentiment; NLP text analysis; stock market; trading strategies
https://onlinelibrary.wiley.com/doi/abs/10.1002/ijfe.1591
Farina, V., Parisi, A., Pomante, U. (2017). Economics blogs sentiment and asset prices. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 22(4), 341-351 [10.1002/ijfe.1591].
Farina, V; Parisi, A; Pomante, U
Articolo su rivista
File in questo prodotto:
File Dimensione Formato  
Farina_et_al- IJFE 2017.pdf

solo utenti autorizzati

Licenza: Copyright dell'editore
Dimensione 781.31 kB
Formato Adobe PDF
781.31 kB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/191108
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 5
  • ???jsp.display-item.citation.isi??? 5
social impact